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2360
result(s)
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
Staff Working Paper 2015-12
Jean-Sébastien Fontaine,
René Garcia,
Sermin Gungor
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
E,
E4,
E43,
H,
H1,
H12
Fourier Inversion Formulas for Multiple-Asset Option Pricing
Staff Working Paper 2015-11
Bruno Feunou,
Ernest Tafolong
Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well-known result of Duffie, Pan and Singleton (2000) shows how to invert the characteristic function to obtain a closed-form formula for their prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing
JEL Code(s):
G,
G1,
G12
Effects of Funding Portfolios on the Credit Supply of Canadian Banks
Staff Working Paper 2015-10
H. Evren Damar,
Césaire Meh,
Yaz Terajima
This paper studies how banks simultaneously manage the two sides of their balance sheet and its implications for bank risk taking and real economic activity. First, we analyze how changes in funding affect the supply of bank loans.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies,
Monetary policy implementation
JEL Code(s):
E,
E5,
E52,
G,
G2,
G21
Securitization under Asymmetric Information over the Business Cycle
Staff Working Paper 2015-9
Martin Kuncl
This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly signal its quality.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G0,
G01,
G2,
G20
What Drives Bank-Intermediated Trade Finance? Evidence from Cross-Country Analysis
Staff Working Paper 2015-8
Jose Maria Serena,
Garima Vasishtha
Empirical work on the underlying causes of the recent dislocations in bank-intermediated trade finance has been limited by the poor availability of hard data. This paper analyzes the key determinants of bank-intermediated trade finance using a novel data set covering ten banking jurisdictions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International financial markets,
International topics
JEL Code(s):
F,
F1,
F14,
F19
Information, Risk Sharing and Incentives in Agency Problems
Staff Working Paper 2015-7
Jia Xie
This paper studies the use of information for incentives and risk sharing in agency problems. When the principal is risk neutral or the outcome is contractible, risk sharing is unnecessary or completely taken care of by a contract on the outcome.
Changing Labour Market Participation Since the Great Recession: A Regional Perspective
Staff Discussion Paper 2015-2
Calista Cheung,
Dmitry Granovsky,
Gabriella Velasco
This paper discusses broad trends in labour force participation and part-time employment across different age groups since the Great Recession and uses provincial data to identify changes related to population aging, cyclical effects and other factors.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Labour markets,
Recent economic and financial developments,
Regional economic developments
JEL Code(s):
E,
E2,
E24,
E3,
E32,
J,
J1,
J2,
J21,
J6
A New Data Set of Quarterly Total Factor Productivity in the Canadian Business Sector
Staff Working Paper 2015-6
Shutao Cao,
Sharon Kozicki
In this paper, a quarterly growth-accounting data set is built for the Canadian business sector with the top-down approach of Diewert and Yu (2012). Inputs and outputs are measured and used to estimate the quarterly total factor productivity (TFP).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Productivity
JEL Code(s):
D,
D2,
D24,
F,
F4,
F43,
O,
O4,
O47
Motivations for Capital Controls and Their Effectiveness
Staff Working Paper 2015-5
Radhika Pandey,
Gurnain Pasricha,
Ila Patnaik,
Ajay Shah
We assess the motivations for changing capital controls and their effectiveness in India, a country with extensive and long-standing controls. We focus on the controls on foreign borrowing that can, in principle, be motivated by macroprudential concerns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
Financial stability,
Financial system regulation and policies,
International topics
JEL Code(s):
F,
F3,
F32,
G,
G1,
G15,
G18